Jensen (1978) says:
A weaker and economically more sensible version of the efficiency hypothesis says that prices reflect information to the point where the marginal benefits of acting on information (the profits to be made) do not exceed marginal costs.
From Jansen's statement, we can find that investors have an information constraint, that collecting and analyzing information involve cost and investors have to balance between the cost of information and their risk preferences. Investors who are more risk averse tend to be willing to spend more on acting on information.
However, there are noise traders in the financial market. Studies have found profitable opportunities including arbitrary opportunities are created by noise traders' activities rather than changes in fundamental factors (De Long, Shleifer, Summers and Waldmann, 1990).
Combining the two statements, when the information in the market is more complicated, more investors are likely to be noise traders, this will increase the financial market risk as well as opportunities. It is very easy to see an increase in the complexity of the financial market, since when new financial products with complicated structures are created, the complexity will automatically increase in the financial market. This may imply innovation in the financial market is likely to increase the risk and opportunities.
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